Model validation - Market Risk
Core
Independent validation and challenge of market risk models to ensure safety, soundness, and regulatory compliance across the bank.
Role type
Senior IC model validation specialist (market risk)
Builds
Independent validation reports and testing frameworks for market risk models
Domain
Banking / Market Risk / Quantitative Finance
Deliverable
production ML models
Required skills
Market risk modeling (VaR, ES, IRC, FRTB), quantitative finance, probability, statistics, stochastic calculus, Python/C++/R, regulatory compliance (Basel, FRB SR 11-7)
Preferred skills
FRTB SA/IMA experience, derivative pricing, advanced degree in Quantitative Finance/Mathematics/Physics
Technologies
Python, C++, R
Responsibilities
Validate market risk models (VaR, Stressed VaR, ES, IRC, FRTB), conduct end-to-end validation (methodologies, assumptions, data, calibration), design independent testing and benchmarking, support regulatory compliance, engage with model development and front office teams, prepare validation reports for senior management and regulators, contribute to model lifecycle management.
Seniority
Mid-Senior, hands-on IC
